How can I add Random Effect in SUR (Seemingly Unrelated Regression) Model?

19 June 2022 1 9K Report

HI,

I am looking for ways to add a random effect in a SUR model, using R or SAS.

To be more specific, I have panel data measured at an individual-and-daily level, and I want to stack 3 equations with different dependent and independent variables in a SUR model, with an individual random-effect coefficient.

If you guys have any example codes that I can refer to, it would be a great help!

Thank you:)

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